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2022 | nr 2 | 29--47
Tytuł artykułu

Study of the Effect on the Introduction of a Lockdown (COVID-19 Pandemic) on Abnormal Return Rate

Autorzy
Treść / Zawartość
Warianty tytułu
Badanie wpływu wprowadzenia lockdownu podczas pandemii COVID-19 na abnormalne stopy zwrotu
Języki publikacji
EN
Abstrakty
EN
In general, everyone has an individual approach to investing their capital. In the case of the capital market, two extreme approaches can be observed, for some investors the key is the security of investments while for others it is maximization of profits. There are also many investors who follow their own beliefs when making decisions - the emotional factor. Such behavior is explained by a relatively new field, namely behavioral finance. Its inseparable elements are exchange rate fluctuations. The amplitude of occurring fluctuations increases in case of unexpected random events. One such event was COVID-19 and the announcements of lockdowns in individual countries. The following report investigated the impact of COVID-19 on the capital market, and more specifically, it has been tested in terms of generating abnormal rates of return. The hypothesis of the study was that an announcement of a lockdown resulting in an economic closure generates statistically significant abnormal rates of return in relation to national benchmarks. The study was conducted on the basis of daily closing rates for joint stock companies from six European countries: Bulgaria, the Czech Republic, Poland, Slovakia, Ukraine, and Hungary. The data range covered the period from 1st January 2020 to 30th April 2020. The results of the event study proved that a few companies in the analysis showed sensitivity of their rates of return in relation to COVID-19. (original abstract)
Na rynku kapitałowym każdy cechuje się indywidulanym podejściem do inwestowania swojego kapitału. Można zaobserwować dwie skrajne postawy: dla jednych inwestorów kluczowe będzie bezpieczeństwo dokonywanych inwestycji, dla innych z kolei - maksymalizacja osiąganych zysków. Jest również wielu inwestorów, którzy podczas podejmowania decyzji kierują się własnymi przekonaniami, czyli tzw. czynnikiem emocjonalnym. Takie zachowania tłumaczy stosunkowo nowa dziedzina, jaką są finanse behawioralne. Jej nieodłącznym elementem są wahania kursów. Amplituda występujących wahań wzrasta w przypadku pojawienia się nieoczekiwanych zdarzeń losowych. Jednym z takich wydarzeń było ogłoszenie lockdownów związanych z pandemią COVID-19 w poszczególnych krajach. Wpływ takich działań został zbadany pod kątem generowania abnormalnych stóp zwrotu. Postawiona hipoteza głosiła, że fakt ogłoszenia lockdownu i zamknięcia gospodarek w poszczególnych krajach generował istotne statystycznie ponadprzeciętne stopy zwrotu w odniesieniu do krajowych benchmarków. Badanie zostało przeprowadzone na podstawie dziennych kursów zamknięcia spółek akcyjnych z sześciu krajów europejskich. Zakres danych obejmował okres od 1 stycznia 2020 r. do 30 kwietnia 2020 roku. Wyniki event study dowiodły, że mała liczba analizowanych spółek wykazała się wrażliwością osiąganych stóp zwrotu na takie zdarzenia. (abstrakt oryginalny)
Rocznik
Numer
Strony
29--47
Opis fizyczny
Twórcy
autor
  • University of Warsaw, Poland, sudent
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